Showing 1 - 10 of 511
Although the threat of rare economic disasters can have large effect on asset prices, difficulty in inference regarding both their likelihood and severity provides the potential for disagreements among investors. Such disagreements lead investors to insure each other against the types of...
Persistent link: https://www.econbiz.de/10012462617
Satisfactory calculations of the welfare cost of aggregate consumption uncertainty require a framework that replicates major features of asset prices and returns, such as the high equity premium and low risk-free rate. A Lucas-tree model with rare but large disasters is such a framework. In a...
Persistent link: https://www.econbiz.de/10012465898
aversion and narrow framing, two well-known features of decision-making under risk in experimental settings. In equilibrium …
Persistent link: https://www.econbiz.de/10012466287
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...
Persistent link: https://www.econbiz.de/10012459120
This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...
Persistent link: https://www.econbiz.de/10005859370
In this paper, we assess the degree to which four of the most commonly used models of risky decision making can explain … explain the decision-making behavior of the majority of our subjects. Surprisingly, we find that the choice behavior of the … of risky decision making …
Persistent link: https://www.econbiz.de/10012476344
In this paper we analyze the problem of whether and/or when to replace a leader (agent) when no monetary rewards are available, and it is the leader's competence rather than effort that is being evaluated. The only decisions that the leader takes over time are whether to undertake risky but...
Persistent link: https://www.econbiz.de/10012458366
Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...
Persistent link: https://www.econbiz.de/10012456263
Individuals' preferences underlying most economic behavior are likely to display substantial heterogeneity. This paper reports on direct measures of preference parameters relating to risk tolerance, time preference, and intertemporal substitution. These experimental measures are based on survey...
Persistent link: https://www.econbiz.de/10012473664
This paper focuses on Social Security benefit claiming behavior, a take-up decision that has been ignored in the …
Persistent link: https://www.econbiz.de/10012471466